Frozen Path Approximation for Turbulent Diffusion and Fractional Brownian Motion in Random Flows.

Albert Fannjiang Tomasz Komorowski

Published in: SIAM J. Appl. Math. (2003)

Keyphrases

fractional brownian motion
long range
non stationary
financial markets
long range dependence
fractal dimension
diffusion process
random fields
feature extraction
long term
mathematical model
distance measure
maximum likelihood